Term structure movements implicit in Asian option prices

dc.contributorFGV
dc.creatorAlmeida, Caio Ibsen Rodrigues de
dc.creatorVicente, José
dc.date.accessioned2018-05-10T13:36:09Z
dc.date.accessioned2019-05-22T13:40:46Z
dc.date.available2018-05-10T13:36:09Z
dc.date.available2019-05-22T13:40:46Z
dc.date.created2018-05-10T13:36:09Z
dc.date.issued2008
dc.identifier0969-5931 / 1873-6149
dc.identifierhttp://hdl.handle.net/10438/23254
dc.identifier10.1080/14697681003720253
dc.identifier000302421800013
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/2685255
dc.description.abstractIn this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options are (or are not) included in the estimation process. We investigate how options affect the shape, risk premium and hedging structure of the dynamic factors. We find that the inclusion of options affects the loadings of the slope and curvature factors, and considerably changes the risk premium and hedging structure of all dynamic factors.
dc.languageeng
dc.relationQuantitative finance
dc.rightsopenAccess
dc.sourceWeb of Science
dc.subjectAsset pricing
dc.subjectFixed income derivatives
dc.subjectEmpirical finance
dc.subjectFinancial econometrics
dc.subjectAffine term structure models
dc.titleTerm structure movements implicit in Asian option prices
dc.typeArticle (Journal/Review)


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